• Management & Information Systems Review
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• v.32 no.3
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• pp.1-23
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• 2013

In this study, we try to investigate the spillover effects of volatility in international tourists arrivals between Korea and US, Japan, China by using the multivariate BEKK model from January 2005 to January 2013. In the results of this study, after the global financial crisis, we found a cointegration relationship and tourist arrivals of Japan were adjusted to recovery in the short term. Also tourists arrivals from China and Japan showed the long-term elasticity. In the conditional mean equation of a BEKK model, there were the spillover effects. And in the conditional variance equation, ARCH(${\epsilon}^2_t$) coefficients showed a strong influence on the arrivals of their own and the spillover effects and the asymmetric effects on the volatility of China and Japan arrivals. In GARCH(${\sigma}^2_t$) coefficients showed the asymmetric effects and the spillover effects of the conditional volatility among source arrivals. Therefore, we examined the asymmetric reaction of one-way or two-way tourist arrivals between source countries and Korea and the spillover effects related to tourists arrivals of source countries to Korea. We has confirmed a causal relationship between some of the tourists arrivals from source countries to korea.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.9 no.2
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• pp.15-21
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• 2014

The long memory properties of the hedge ratio for stock and futures have not been systematically investigated by the extant literature. To investigate hedge ratio' long memory, this paper employs a data set including KOSPI200 and S&P500. Coakley, Dollery, and Kellard(2008) employ a data set including a stock index and commodities foreign exchange, and suggested the S&P500 to be a fractionally integrated process. This paper firstly estimates hedge ratios with two dynamic models, BEKK(Bollerslev, Engle, Kroner, and Kraft) and diagonal-BEKK, and tests the long memory of hedge ratios with Geweke and Porter-Hudak(1983)(henceforth GPH) and Lo's modified rescaled adjusted range test by Lo(1991). In empirical results, two hedge ratios based on KOSPI200 and S&P500 show considerably significant long memory behaviours. Thus, such results show the hedge ratios to be stationary and strongly reject the random walk hypothesis on hedge ratios, which violates the efficient market hypothesis.

• International Area Studies Review
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• v.20 no.1
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• pp.3-22
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• 2016

In this study, I examine mutual shock spillover effects among interest rate differences, won-dollar foreign exchange change rates, and stock market returns in Korea during the daily sample period from the beginning of 1995 to the October 16, 2015, using the multivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba-Engle-Kraft-Kroner) model framework. Major findings are as follows. Throughout the 6 model estimation results of variance equations determining return spillovers covered from symmetric and asymmetric models of total sample period and two crisis sub-sample periods composed of Korean FX Crisis Times and Global Financial Crisis Times, shock spillovers are shown to exist mainly from stock market return shocks. Stock market shocks including down-shocks from the asymmetric models are shown to transfer to those other two markets most successfully. Therefore it is most important to maintain stable financial markets that a policy design for stock market stabilization such as mitigating stock market volatility.

• The Journal of Asian Finance, Economics and Business
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• v.4 no.4
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• pp.27-37
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• 2017

This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour of those commodities. The empirical results show that the own-volatility spillover are relatively significant for all food prices. The own-volatility spillover effect for sugar price is relatively large compared with the volatility spillover of other staple food commodities. The findings also highlight that the price volatility of wheat increases during food crisis more than it does when the condition is stable. Also, the own-volatility of rice and wheat in the period of the food crisis is significant and higher compared to the period before food crisis indicates that the past own-volatility effects during food crisis are relatively more difficult to predict because of the uncertainty and high price volatility. Policy recommendations that can be proposed based on the findings are: (1) a better trade agreement in food commodity trade, (2) lower the dependence on wheat importation in Indonesia, and (3) reliable system to minimize food price volatility risks.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.183-209
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• 2004

This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.

• Korea Trade Review
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• v.48 no.1
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• pp.127-163
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• 2023

The objective of this study is to investigate the volatility spillover effects among BDI, CCFI and SCFI. This paper will divide the empirical analysis section into two periods to analyze and compare the differences in volatility spillover effect between shipping freight indices before and after the outbreak of COVID-19 separately. First, in order to compare the mean spillover impact and index lead-lag correlations in BDI and CCFI indices, along with BDI and SCFI indices before and after COVID-19, the co-integration analysis and the test of Granger causality built on the VAR model were utilized. Second, the impulse response and variance decomposition are employed in this work to investigate how the shipping freight index responds to shocks experienced by itself and other freight indices in a short period. Before the COVID-19 epidemic, the results demonstrated that the BDI freight index is the Granger cause of the variable CCFI freight index. But the BDI and CCFI freight indices have no apparent lead-lag relationships after COVID-19, and this empirical result echoes the cointegration test result. After the COVID-19 epidemic, the SCFI index leads the BDI index. This study employs the VAR-BEKK-GARCH joint model to explore the volatility spillover results between dry bulk and container transport markets before and after COVID-19. The empirical results demonstrate that after COVID-19, fluctuations in the BDI index still affect the CCFI index in the maritime market. However, there is no proof of a volatility spillover relationship between the BDI and SCFI after the COVID-19 epidemic. This study will provide an insight into the volatility relationship among BDI, CCFI and SCFI before and after the the COVID-19 epidemic occurred.

• Environmental and Resource Economics Review
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• v.22 no.4
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• pp.671-689
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• 2013

Transmission mechanisms of volatility between two crude oil markets (WTI and Brent markets) have drawn the attention of numerous academics and practitioners because they both play crucial roles in portfolio and risk management in crude oil markets. In this context, we examined the volatility linkages between two representative crude oil markets using a VECM and an asymmetric bivariate GARCH model. First, looking at the return transmission through the VECM test, we found a long-run equilibrium and bidirectional relationship between two crude oil markets. However, the estimation results of the GARCH-BEKK model suggest that there is unidirectional volatility spillover from the WTI market to the Brent market, implying that the WTI market tends to exert influence over the Brent market and not vice versa. Regarding asymmetric volatility transmission, we also found that bad news volatility in the WTI market increases the volatility of the Brent market. Thus, WTI information is transmitted into the Brent market, indicating that the prices of the WTI market seem to lead the prices of the Brent market.

• The Journal of Fisheries Business Administration
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• v.46 no.3
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• pp.119-127
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• 2015

This study is to analyse the causality and volatility spillover between farming fish species in consumption replacement relation using flatfish(oliver flounder) and rockfish's wholesale market price data from September 2006 to July 2015. For the analysis, VAR(5) model and bivariate asymmetric GARCH-BEKK model are employed. The empirical results of this study are summarized as follows: First, the price volatility of flatfish and rockfish is very large without the trend during the sample period. Second, the correlation coefficient between flatfish and rockfish wholesale markets has positive 0.1059 value. Third, causality relation is unidirectional from rockfish market to flatfish market. Fourth, conditional volatility spillover effect is unidirectional from rockfish market to flatfish market, but asymmetric volatility effect is bidirectional between flatfish and rockfish markets that implies the bad news arising from flatfish wholesale market impact on rockfish market's volatility and the bad news arising from rockfish wholesale market impact on flatfish market's volaltilty. Consequently, based on the thus results, the volatility spillover effect interacts and is bidirectional between flatfish and rockfish wholesale markets.

• Korea Trade Review
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• v.47 no.4
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• pp.177-195
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• 2022

This study analyzed the volatility spillover effect between international non-ferrous metal futures markets using the BEKK-GARCH model. Statistical data are futures price data of copper (CU), aluminum (AL), nickel (NI), tin (SN) from Shanghai Futures Exchange (SHFE) and London Metal Exchange (LME) from April 1, 2015 to December 31, 2021. Combining the research results, first, in the case of copper, aluminum, and nickel, it was found that there was a two-way volatility spillover effect between the Shanghai and London markets, and the international influence of the London market was greater. Second, in the case of the tin, it was found that the Shanghai market has a volatility spillover effect on the London market from stage I, and it is strengthened in stage II. Third, in the case of nickel, it was found that there was a two-way volatility spillover effect in the first stage, but in the second stage, the London market had a unidirectional volatility spillover effect with respect to the Shanghai market. This study confirmed that China's influence in the international non-ferrous metal futures market is gradually increasing. In addition, it suggested that international investors can engage in arbitrage and hedging using China's non-ferrous metal futures market.

• Journal of Korea Trade
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• v.27 no.5
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• pp.167-198
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• 2023

Purpose - This paper aims to compare and analyze the co-movements and information spillover effects between the international commodity futures markets and the South Korean stock markets during the COVID-19 and the 2008 financial crises. Design/methodology - The DCC-GARCH model is used in the co-movements analysis. In contrast, the BEKK-GARCH model is used to evaluate information spillover effects. The statistical data used is from January 1, 2005, to December 31, 2022. It comprises the Korea Composite Stock Price Index data and daily international commodity futures prices of natural gas, West Texas Intermediate crude oil, gold, silver, copper, nickel, soybean, and wheat. Findings - The results of the co-movement analysis were as follows: First, it was shown that the co-movements between the international commodity futures markets and the South Korean stock markets were temporarily strengthened when the COVID-19 and 2008 financial crises occurred. Second, the South Korean stock markets were shown to have high correlations with the copper, nickel, and crude oil futures markets. The results of the information spillover effects analysis are as follows: First, before the 2008 financial crisis, four commodity futures markets (natural gas, gold, copper, and wheat) were shown to be in two-way leading relationships with the South Korean stock markets. In contrast, seven commodity futures markets, except for the natural gas futures market, were shown to be in two-way leading relationships with the South Korean stock markets after the financial crisis. Second, before the COVID-19 crisis, most international commodity futures markets, excluding natural gas and crude oil future markets, were shown to have led the South Korean stock markets in one direction. Third, it was revealed that after the COVID-19 crisis, the connections between the South Korean stock markets and the international commodity futures markets, except for natural gas, crude oil, and gold, were completely severed. Originality/value - Useful information for portfolio strategy establishment can be provided to investors through the results of this study. In addition, it is judged that financial policy authorities can utilize the results as data for efficient regulation of the financial market and policy establishment.